Title
Stability of central finite difference schemes on non-uniform grids for 1D partial differential equations with variable coefficients Stability of central finite difference schemes on non-uniform grids for 1D partial differential equations with variable coefficients
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
New York ,
Subject
Mathematics
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
Volume/pages
1281(2010) , p. 1991-1994
ISSN
0094-243X
ISI
000289661501156
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
This paper deals with stability in the numerical solution of general one-dimensional partial differential equations with variable coefficients. We will generalize stability results for central finite difference schemes on non-uniform grids that were obtained by In't Hout & Volders (2009) for the Black-Scholes equation. Subsequently we will apply our stability results to the CEV model.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/fb388b/3959.pdf
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